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Measuring the Default Risk of Bonds Using Yields to Maturity

Lawler, Thomas - 2012

In both the theoretical and empirical literature of finance the relative riskiness of two debt instruments identical in all respects save the likelihood of default on payments of principal and/or interest has generally been measured by the difference between the yields to maturity of the two...

Persistent link: https://www.econbiz.de/10013103089

Size-adapted bond liquidity measures and their asset pricing implications

Reichenbacher, Michael; Schuster, Philipp - In: Journal of financial economics 146 (2022) 2, pp. 425-443

Persistent link: https://www.econbiz.de/10013482286

Time-varying pricing of risk in sovereign bond futures returns

Malinská, Barbora - In: Finance research letters 47 (2022) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10013455827

Yield curve data choice and potential moral hazard : an empirical exercise on pricing callable bonds

Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 2124-2145

Persistent link: https://www.econbiz.de/10013184691

Economic Policy Uncertainty and the Yield Curve

Leippold, Markus; Matthys, Felix - 2022

Persistent link: https://www.econbiz.de/10013192097

Extracting implied volatilities from bank bonds

Bianchi, Michele Leonardo; Tassinari, Gian Luca - In: Quantitative finance 23 (2023) 7/8, pp. 1177-1197

Persistent link: https://www.econbiz.de/10014321670

The Determinants of Bond Insurance Premium

Moldogaziev, Tima T. - 2012

This paper provides an empirical test of the demand side of Thakor's (1982) theory of bond insurance signaling, namely …-08 financial crisis. We find empirical evidence consistent with the theory that the bond insurance premium provides a signal to the … that the insurance premium charged by municipal bond insurers provides a signal to the market that reduces asymmetric …

Persistent link: https://www.econbiz.de/10013115055

Sovereign bond spreads and credit default swap premia : cointegration and causality

Martín García, Margarita; Téllez, Cecilia; Martín … - In: Investment management and financial innovations 11 (2014) 2, pp. 47-59

Persistent link: https://www.econbiz.de/10010392834

Natural rate chimera and bond pricing reality

Brand, Claus; Goy, Gavin; Lemke, Wolfang - 2020

Persistent link: https://www.econbiz.de/10012162399

A memory in the bond : green bond and sectoral investment interdependence in a fractionally cointegrated VAR framework

Mishra, Tapas; Park, Donghyun; Parhi, Mamata; Uddin, … - In: Energy economics 121 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014438770